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Open AccessArticle

Economic News Releases and Financial Markets in South Africa

1
Department of Business Administration, University of Patras, 26504 Patras, Greece
2
Lincoln Business School, University of Lincoln, Lincoln LN5 7AT, UK
3
Department of Accounting and Finance, School of Management and Economic Sciences, Hellenic Mediterranean University, 71004 Heraklion, Greece
*
Author to whom correspondence should be addressed.
Economies 2019, 7(4), 112; https://doi.org/10.3390/economies7040112
Received: 20 November 2018 / Revised: 27 September 2019 / Accepted: 1 November 2019 / Published: 8 November 2019
(This article belongs to the Special Issue Economic Development in Africa)
We examine the impact of economic news releases on returns, volatility and jumps of the stock and foreign exchange markets of South Africa. We also assess the impact of macroeconomic determinants. The dataset range is fifteen years covering the period from January, 2000 to December, 2014. Results are robust to different sub-periods before and after the global financial crisis of 2008. Volatility is estimated with the use of the median realized variance estimator. Jumps are also detected. The impact of the announcements is assessed building using regression techniques. Returns, volatility and jumps of both stock and foreign exchange markets are significantly explained nationally by macroeconomic fundamentals and economic news releases. View Full-Text
Keywords: South Africa; economic news; macro fundamentals South Africa; economic news; macro fundamentals
MDPI and ACS Style

Gkillas, K.; Vortelinos, D.; Floros, C.; Tsagkanos, A. Economic News Releases and Financial Markets in South Africa. Economies 2019, 7, 112.

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